Browsing Mathematics (Faculty of) by Author "Li, Zhi"
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Optimal Reinsurance Retentions under Ruin-Related Optimization Criteria
Li, Zhi (University of Waterloo, 2008-12-02)Quota-share and stop-loss/excess-of-loss reinsurances are two important reinsurance strategies. An important question, both in theory and in application, is to determine optimal retentions for these reinsurances. In ...